Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0434
Annualized Std Dev 0.2771
Annualized Sharpe (Rf=0%) -0.1566

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.3577
Quartile 1 -0.0064
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0069
Maximum 0.2800
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0003
Stdev 0.0175
Skewness -2.0049
Kurtosis 78.4607

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0130
Loss Deviation 0.0160
Downside Deviation (MAR=210%) 0.0172
Downside Deviation (Rf=0%) 0.0130
Downside Deviation (0%) 0.0130
Maximum Drawdown 0.8229
Historical VaR (95%) -0.0223
Historical ES (95%) -0.0405
Modified VaR (95%) -0.0097
Modified ES (95%) -0.0097
From Trough To Depth Length To Trough Recovery
1999-08-18 2008-11-20 NA -0.8229 5430 2330 NA
1999-01-12 1999-04-14 1999-06-15 -0.0985 107 64 43
1999-06-24 1999-06-29 1999-07-13 -0.0252 13 4 9
1999-07-14 1999-07-14 1999-07-19 -0.0215 4 1 3
1999-08-06 1999-08-09 1999-08-12 -0.0215 5 2 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 2 -0.4 0.4 0 0.4 -0.7 0 0.8 0 -0.7 0 4.9 6.7
2000 0.9 0 0.9 0.9 1.4 -2.6 -0.8 0.4 0.4 -1.8 -1.9 2.8 0.5
2001 0.3 -1.6 0.3 0.9 0 -4 -0.3 -0.7 -2 -0.6 -0.3 -1.3 -9
2002 -0.5 -0.6 0.9 0.2 -0.8 1.2 0.7 -0.6 2.5 2.1 0 1.3 6.5
2003 -0.1 -0.3 -0.2 0.6 1.9 0.3 0.6 0.6 0.2 -0.4 -0.9 1.4 3.7
2004 0 1 -0.3 0.5 2.3 -1 -0.5 0.9 1.2 -0.9 -0.2 1.1 4.2
2005 0.2 0.1 0 0.5 1.8 0.2 -0.9 0.4 0.7 0.7 1 2.3 7
2006 -2 0.9 1.6 0.8 1.4 -0.7 1.5 2 -1.1 -1.2 0.3 -0.4 3
2007 0.4 0.5 0.4 0 -1.4 0.9 -1.1 -0.5 0.4 0.6 2.5 0.8 3.6
2008 1.6 -1.9 2.7 0.1 -0.1 1 1.6 -0.7 6.3 1.5 -5.7 2.1 8.4
2009 7.2 -2.4 3.9 1.6 -0.6 0.2 1.5 1.5 0.4 1 0 -0.1 14.7
2010 0.1 2.1 1.6 3.4 0.9 -0.8 0.9 1 0.2 -1.6 0.6 -0.8 7.8
2011 -0.1 1 -0.5 -0.6 0.6 -0.5 3.8 -0.3 -0.6 -1.3 1.2 -0.5 2.1
2012 0.3 1.1 0.4 0.3 0.1 0.6 0.6 -0.2 -0.9 -0.4 -0.1 1 2.8
2013 0.4 0.5 -0.3 1.2 0.5 0.8 -0.8 -1.3 -1.4 -0.3 1 -0.3 0.1
2014 0.1 0 0.1 -0.7 -0.3 0.2 -0.1 -0.3 0.7 -0.3 0.7 1.7 1.9
2015 0.5 0 -0.9 0.8 -0.9 -0.2 0.2 -1.3 -0.6 0.7 0.6 0.2 -0.9
2016 0.4 1.4 0.4 0.2 0.6 3.1 0.7 1.1 1.4 1.3 1.8 -0.2 12.8
2017 1.1 0.3 0.3 0.6 0.8 0.8 0.3 0.8 -0.6 0 0.4 0.2 5.1
2018 1.1 -1.5 3.6 -0.8 -0.3 -2.6 1.3 0.2 -1 -0.2 0.2 1.2 1
2019 1 0 0.4 -2.3 0 -0.7 -1.2 0.7 0 0.8 0 -1.8 -3.1
2020 1.2 -7.4 -7.3 -1 0.6 0.9 -0.6 0 0.3 1.2 0.1 0.6 -11.1
2021 -0.8 -0.2 0 NA NA NA NA NA NA NA NA NA -1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart